I am working on a multivariate time-series data with one predict target problem. I am using VAR model, so the prediction problem is like
y_t = sum(a*y) + sum(b*x) + error.
the y contains the time from t-p to t-1. But the x contains from t-p to t+k, i.e. the x contains the future data for the prediction of y_t.
Is there a workaround in statsmodel that could handle this? I am thinking to use a LinearRegression model from other libraries such as sklearn. But I am not sure how to capture the uncertainty of the errors.
Thanks so much!